arXiv Machine Learning
1d ago

Regret Bounds for Market Making with Persistent Orders

arXiv:2611.06159v1 Announce Type: cross Abstract: We study adversarial market making with orders that remain active until execution. The maker operates on two markets: a primary market where orders a...

By Nicol\`o Cesa-Bianchi, Tommaso Cesari, Roberto Colomboni, Luigi Foscari, Vinayak Pathak